The Week in Review

It was another solid week for the portfolio with this goldilocks-like market. Not too hot, not too cold, but just right for a market neutral portfolio short on options premium. The ETF for the S&P 500, SPY, was down -0.47% and the ETF for the Russell 2000, IWM, was down -1.15%. The portfolio was up +0.72% for the week.

The SPY Put Write and Delta Hedge held it's own this week. With the market moving down slightly, it did what was expected. It had a small gain and added 5 bps to the portfolio this week.

I've struggled with the VIX calendars. They've served as a nice counterweight to increasing volatility but I ended up removing them for a loss on Thursday before the market moved down again on Friday. In hindsight, that was a mistake but I think my bigger mistake was putting this trade on with strikes too far away from the market. The trade was put on with strikes at 18 when I really should have done something around 16. I'll have to wait again until VIX is down in the 13 or 14 area before I put on another one of these trades or wait until it is abnormally high. This strategy subtracted 18 bps from the portfolio this week.

The SPX Broken Wing Butterflies strategy did nicely this week. I didn't have to make too many adjustments. I have noticed however that there does not seem to be a market for the longer dated 90 day trades I liked with the strikes I want. The strikes are all 25 points wide that far out and there is little open interest. The standard monthly expirations are fine but the weeklies that expire every Friday are not. I'm not sure what is going on but I think it has something to do with the new weeklies that expire on Wednesday and only go out about 3 weeks. This turn of events is going to be a problem for this strategy if I can't trade that far out. In any case, the strategy added 43 bps to the portfolio this week.

The RUT Iron Condors strategy turned in a small gain this week. Most of my position is in June and July but there is still a small piece that expires May 20 that will benefit from a further drop in the RUT. This strategy added 17 bps to the portfolio this week.

The RUT Butterflies strategy also turned in a small gain this week. I'm getting close to my target gain in the June bearish position whereas my June neutral position will likely sit and soak for another couple of weeks. The July positions will likely be opened on Monday or Tuesday. This strategy added 24 bps to the portfolio this week.

Contribution to Return

STRATEGY WTD MTD YTD
SPY Put Write and Delta Hedge 0.05 0.05 1.39
VIX Calendars -0.18 -0.46 -0.56
SPX Broken Wing Butterflies and Ratios 0.43 1.00 -3.78
RUT Iron Condors 0.17 0.98 0.81
RUT Butterflies 0.24 2.64 1.76
TOTAL 0.72 4.20 -0.38